Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 4 | 4 | 3 |
| Score | 2.31 | 3.27 | 1.6 |
| Market Cap (Millions USD) | 16414.39 | 15710.49 | 15051.89 |
| Predicted Beta | 1.14 | 1.13 | 1.1 |
| Idiosyncratic Volatility | 1.75 | 1.81 | 1.81 |
Annualized return and volatility
| IVE | |
|---|---|
| Annualized Return | 0.0635 |
| Annualized Std Dev | 0.1905 |
| Annualized Sharpe (Rf=0%) | 0.3336 |
Row
Daily Return Statistics
| IVE | |
|---|---|
| Observations | 5009.0000 |
| NAs | 104.0000 |
| Minimum | -0.0927 |
| Quartile 1 | -0.0046 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0057 |
| Maximum | 0.1070 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0120 |
| Skewness | -0.1166 |
| Kurtosis | 8.1438 |
Downside Risk
| IVE | |
|---|---|
| Semi Deviation | 0.0087 |
| Gain Deviation | 0.0086 |
| Loss Deviation | 0.0095 |
| Downside Deviation (MAR=210%) | 0.0134 |
| Downside Deviation (Rf=0%) | 0.0085 |
| Downside Deviation (0%) | 0.0085 |
| Maximum Drawdown | 0.6132 |
| Historical VaR (95%) | -0.0184 |
| Historical ES (95%) | -0.0291 |
| Modified VaR (95%) | -0.0178 |
| Modified ES (95%) | -0.0287 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2013-03-07 | -0.6132 | 1384 | 364 | 1020 |
| 2001-02-02 | 2002-10-09 | 2004-12-14 | -0.4421 | 988 | 428 | 560 |
| 2018-01-29 | 2018-12-24 | 2019-05-03 | -0.1926 | 323 | 233 | 90 |
| 2015-05-22 | 2016-02-11 | 2016-06-07 | -0.1503 | 267 | 186 | 81 |
| 2007-07-16 | 2007-08-15 | 2007-10-09 | -0.1018 | 62 | 23 | 39 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IVE | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | 1.2 | 0.0 | 0.7 | 0.5 | 0.0 | -0.2 | 0.8 | 0.0 | 3.0 |
| 2001 | 0.8 | -0.3 | 0.0 | 0.8 | 0.4 | 0.0 | 0.4 | 0.0 | -0.4 | 2.1 | 0.0 | 0.0 | 3.8 |
| 2002 | -0.6 | 1.7 | -0.5 | 1.0 | 0.0 | -1.8 | -3.1 | 0.0 | 3.8 | 2.0 | 0.0 | 0.0 | 2.5 |
| 2003 | 0.0 | 0.0 | 1.7 | -0.5 | 0.0 | 0.6 | -1.0 | 0.0 | 2.2 | 0.0 | 1.1 | 0.0 | 4.0 |
| 2004 | 0.0 | 1.2 | 0.4 | 0.0 | -0.2 | -0.8 | 0.0 | 0.1 | 1.5 | 0.2 | 1.0 | 0.0 | 3.5 |
| 2005 | 0.4 | 0.6 | -0.6 | 0.0 | 0.7 | 0.4 | 0.0 | 0.4 | 0.0 | 0.2 | 1.3 | 0.0 | 3.5 |
| 2006 | 0.5 | 1.0 | 0.0 | -0.8 | 1.2 | 0.0 | -0.5 | 0.6 | 0.0 | -0.7 | -0.5 | 0.0 | 0.8 |
| 2007 | 0.5 | -0.1 | 0.0 | 0.0 | 0.4 | 0.0 | 0.3 | 0.0 | 1.5 | -2.8 | 0.0 | 0.0 | -0.2 |
| 2008 | 1.8 | 0.0 | 4.1 | 2.5 | 0.0 | 0.4 | -0.4 | 0.0 | 0.2 | 0.0 | -9.3 | 0.0 | -1.3 |
| 2009 | 0.0 | 0.0 | 2.4 | 0.4 | 2.1 | 0.5 | 0.0 | -2.8 | -2.7 | 0.0 | 1.2 | 0.0 | 0.9 |
| 2010 | 1.4 | 1.0 | 0.9 | 0.0 | -1.8 | -0.4 | 0.0 | 3.0 | 0.6 | -0.2 | 2.2 | 0.0 | 6.7 |
| 2011 | 1.9 | -1.6 | 0.5 | 0.0 | -2.4 | 1.4 | -0.3 | -1.2 | 0.0 | -3.0 | -0.3 | 0.0 | -4.9 |
| 2012 | 1.1 | 0.8 | 0.0 | 0.8 | -2.6 | 0.0 | -0.3 | 0.0 | 0.2 | 1.2 | 0.0 | 0.0 | 1.2 |
| 2013 | 1.0 | 0.3 | -0.2 | -0.9 | 0.0 | 0.7 | 1.3 | 0.0 | 0.7 | 0.3 | 0.0 | 0.0 | 3.1 |
| 2014 | 0.0 | 0.0 | 0.4 | -0.1 | 0.0 | 0.5 | -0.3 | 0.0 | -1.2 | 0.0 | -0.4 | 0.0 | -1.1 |
| 2015 | 0.0 | 0.0 | -0.3 | 0.8 | 0.1 | 0.7 | 0.0 | -3.0 | 0.0 | 0.0 | 1.0 | 0.0 | -0.8 |
| 2016 | -0.1 | 2.2 | 0.4 | 0.0 | 0.2 | 0.0 | -0.5 | -0.1 | 0.0 | -0.6 | 0.3 | 0.0 | 1.8 |
| 2017 | -0.2 | 1.5 | 0.0 | 0.0 | 1.0 | 0.0 | 0.3 | 0.4 | 0.0 | 0.3 | 0.0 | 0.0 | 3.3 |
| 2018 | 0.1 | -1.2 | 0.0 | -0.3 | 0.7 | 0.0 | -0.6 | 0.0 | 0.4 | 0.7 | 0.0 | 0.0 | -0.1 |
| 2019 | 0.2 | 0.6 | 1.3 | -0.4 | 0.0 | 0.8 | -1.4 | 0.0 | -1.2 | 1.4 | 0.0 | 0.1 | 1.2 |
Row
Rolling Performance Chart
Snail Trail Chart
